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macrocephalopod's profile
macrocephalopod
macrocephalopod
macrocephalopod
@macrocephalopod

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macrocephalopod

@macrocephalopod

Paul Allen, Vice President M&A, Pierce & Pierce (Sie/Hir) | Vegan | Silence is Violence | Women’s Rights Are Human Rights | ACAB (Assigned Cephalopod At Birth)

Joined December 2020

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    1. BUCK.eth‏ @eriz35 15 Jul 2021

      woah bitcoin plumbing slowing to a drippic.twitter.com/bZygLm5jDQ

      1 reply 0 retweets 6 likes
      Show this thread
    2. BUCK.eth‏ @eriz35 15 Jul 2021

      cc @macrocephalopod: is this this an example of the cross exchange liquidity quants can exploit? Seems to be a pretty big big/ask spread for orders larger than 0.1 BTC. How do you hedge for stablecoin depegging?

      1 reply 0 retweets 3 likes
      Show this thread
    3. macrocephalopod‏ @macrocephalopod 15 Jul 2021
      Replying to @eriz35

      I am not completely sure what I’m being asked here!

      1 reply 0 retweets 2 likes
    4. BUCK.eth‏ @eriz35 15 Jul 2021
      Replying to @macrocephalopod

      if there's money to be scalped on thin order books and bid/ask spreads, why is coinbase volume falling seemingly by the day? And isn't cross exchange (eg making money off spot delta between Coinbase and say FTX) a big source of potential? If so, why is it not happening and

      1 reply 0 retweets 1 like
    5. BUCK.eth‏ @eriz35 15 Jul 2021
      Replying to @eriz35 @macrocephalopod

      how do you even account for the risk between something like USD on coinbase (close to 100% safe) and Tether or USDC as the medium of trade on other exchanges? It's not a simple question lol I'm just curious about what the big quant possibility is here

      1 reply 0 retweets 1 like
    6. macrocephalopod‏ @macrocephalopod 15 Jul 2021
      Replying to @eriz35

      I think volume is falling because volume is correlated with retail interest, which is correlated with price. Price is down so volume is down too! As you point out it's hard to do cross-exchange arb with a pure taking strategy because bid/offer is wide and commissions are high.

      1 reply 0 retweets 3 likes
    7. macrocephalopod‏ @macrocephalopod 15 Jul 2021
      Replying to @macrocephalopod @eriz35

      To arb spot effectively you ideally want to get filled passively on one of the legs, so you collect spread and pay a reduced fee. You then cross spread to hedge on the other exchange. But getting filled passively requires volume!

      1 reply 0 retweets 1 like
    8. macrocephalopod‏ @macrocephalopod 15 Jul 2021
      Replying to @macrocephalopod @eriz35

      Volume helps in two regards - first it creates opportunities (e.g. a big trade on one exchange pushes up the price there) and second it gives better passive entry opportunities. Lower volume means less profit for arbs.

      1 reply 0 retweets 1 like
      macrocephalopod‏ @macrocephalopod 15 Jul 2021
      Replying to @macrocephalopod @eriz35

      Stablecoin unpeg risk is hard. You could either try to maintain a flat delta to USDT naturally (but that means a lot of opportunities are not available to you) or you could explicitly borrow USDT and sell it for USD as a hedge, but borrowing USDT is expensive.

      6:09 AM - 15 Jul 2021
      • 2 Likes
      • Russian Investoooooor BUCK.eth
      1 reply 0 retweets 2 likes
        1. New conversation
        1. macrocephalopod‏ @macrocephalopod 15 Jul 2021
          Replying to @macrocephalopod @eriz35

          I don't think there is an easy solution!

          1 reply 0 retweets 1 like
        2. BUCK.eth‏ @eriz35 15 Jul 2021
          Replying to @macrocephalopod

          this is extremely helpful, thanks. So the idea isn't to "make markets" but rather piggyback off real interest/volume in trading of the asset and take advantage of inefficiencies in the platforms and big traders' methodologies?

          1 reply 0 retweets 2 likes
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